Yes, it is fully legal to download media that is copyrighted and that one has to pay to listen to/watch, whether it contains ads or not. If this is done solely for personal use and not for commercial distribution — it is 100% legal. This is why torrent clients and Ad blockers are in such high demand.

When it comes to YouTube or similar websites, it may be considered a "TOS" violation but not an illegal activity by any means.

According to Audio Home Recording Act:

17 U.S.C. § 1008, as legislated by the Audio Home Recording Act of 1992, says that non-commercial copying by consumers of digital and analog musical recordings is not copyright infringement. Non-commercial includes such things as resale not in the course of business, perhaps of normal use working copies which are no longer wanted. It is unlikely to include resale of copies in bulk; Napster tried to use the Section 1008 defense but was rejected because it was a business.

From House Report No. 102-873(I), September 17, 1992: "In the case of home taping, the [Section 1008] exemption protects all noncommercial copying by consumers of digital and analog musical recordings" .

From House Report No. 102-780(I), August 4, 1992: "In short, the reported legislation [Section 1008] would clearly establish that consumers cannot be sued for making analog or digital audio copies for private noncommercial use”.